Printed from https://ideas.repec.org/s/chf/rpseri6.html
Content
2014
- 14-21 Why Don’t All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities
by Nicole M. Boyson & Rüdiger Fahlenbrach & René M. Stulz - 14-20 Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices
by Patrick GAGLIARDINI & Christian GOURIEROUX & Mirco RUBIN - 14-19 Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices OR from SSRN: Individual Reaction to Past Performance Sequences: Evidence from a Real Marketplace
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU - 14-18 A Class of Strict Local Martingales
by Martin HERDEGEN & Sebastian HERRMANN - 14-17 Trading with Small Price Impact
by Ludovic MOREAU & Johannes MUHLE-KARBE & Halil Mete SONER - 14-16 Rebalancing with Linear and Quadratic Costs
by Ren LIU & Johannes MUHLE-KARBE & Marko WEBER - 14-15 Linear-Rational Term Structure Models
by Damir FILIPOVIC & Martin LARSSON & Anders TROLLE - 14-14 Information Processing and Non-Bayesian Learning in Financial Markets
by Stefanie Schraeder - 14-13 The Impact of Foreign Bank Presence on Foreign Direct Investment in China
by Steven ONGENA & Shusen QI & Fengming QIN - 14-12 Do Underpriced Firms Innovate Less?
by Gianpaolo Parise - 14-11 Financing Asset Sales and Business Cycles
by Marc ARNOLD & Dirk HACKBARTH & Tatjana XENIA PUHAN - 14-10 Exchange Risk and Market Integration
by Ines CHAIEB & Vihang ERRUNZA - 14-09 Portfolio Delegation and Market Efficiency
by Semyon MALAMUD & Evgeny PETROV - 14-08 Portfolio Selection with Options and Transaction Costs
by Semyon MALAMUD - 14-07 Toward a Unified Framework of Credit Creation
by Susanne VON DER BECKE & Didier SORNETTE - 14-06 Financial Brownian Particle in the Layered Order Book Fluid and Fluctuation-Dissipation Relations
by Yoshihiro Yura & Hideki Takayasu & Didier Sornette & Misako Takayasu - 14-05 Long/Short Equity Hedge Funds and Systematic Ambiguity
by Rajna Gibson BRANDON & Nikolay RYABKOV - 14-04 Financing Investment: The Choice between Bonds and Bank Loans
by Erwan Morellec & Philip Valta & Alexei Zhdanov - 14-03 Capital Adequacy Tests and Limited Liability of Financial Institutions
by Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari - 14-02 Liquidity and Investment Horizon
by Volodymyr VOVCHAK - 14-01 Corporate Cash and Employment
by Philippe BACCHETTA & Kenza BENHIMA & Céline POILLY
2013
- 13-74 An Option to Cheat: An Application of Option Theory to Realize Flipping in Underpricing
by Jovan Stojkovic - 13-73 Asset Pricing When 'This Time is Different'
by Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer - 13-72 Competition, Cash Holdings, and Financing Decisions
by Erwan Morellec & Boris Nikolov & Francesca Zucchi - 13-71 Optimal Liquidity Provision
by Christoph Kühn & Johannes Muhle-Karbe - 13-70 Shareholder Activism, Informed Trading, and Stock Prices
by Pierre Collin-Dufresne & Vyacheslav Fos - 13-69 Do Prices Reveal the Presence of Informed Trading?
by Pierre Collin-Dufresne & Vyacheslav Fos - 13-68 Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams
by Olivier Bachem & Gabriel G. Drimus & Walter Farkas - 13-67 Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari - 13-66 Capital Requirements with Defaultable Securities
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari - 13-65 Liquidity Risk in Credit Default Swap Markets
by Benjamin Junge & Anders B. Trolle - 13-64 Debt Enforcement, Investment, and Risk Taking Across Countries
by Giovanni Favara & Erwan Morellec & Enrique J. Schroth & Philip Valta - 13-63 Opacity in Financial Markets
by Yuki Sato - 13-62 A Generic Model of Dyadic Social Relationships
by Maroussia Favre & Didier Sornette - 13-61 Momentum Crashes
by Kent D. Daniel & Tobias J. Moskowitz - 13-60 Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data
by Vladimir Filimonov & Didier Sornette - 13-59 Margin Regulation and Volatility
by Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders - 13-58 Optimal Investment in a Black-Scholes Model with a Bubble
by Martin Herdegen & Sebastian Herrmann - 13-57 Asset Pricing with Arbitrage Activity
by Julien Hugonnier & Rodolfo Prieto - 13-56 Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data
by Martin Hoesli & Elias Oikarinen - 13-55 A Creepy World
by Didier Sornette & Peter Cauwels - 13-54 Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework
by Zehra Eksi & Damir Filipović - 13-53 Heterogeneity in Risk Preferences: Evidence from a Real-World Betting Market
by Angie Andrikogiannopoulou & Filippos Papakonstantinou - 13-52 Decentralized Exchange
by Semyon Malamud & Marzena J. Rostek - 13-51 Transaction Costs and Shadow Prices in Discrete Time
by Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer - 13-50 Optimal Prevention for Correlated Risks
by Christophe Courbage & Henri Louberge & Richard Peter - 13-49 Robust Hedonic Price Indexes
by Steven C. Bourassa & Eva Cantoni & Martin Hoesli - 13-48 On Secondary Buyouts
by Francois Degeorge & Jens Martin & Ludovic Phalippou - 13-47 Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
by Eric Jondeau & Jérôme Lahaye & Michael Rockinger - 13-46 Limited Managerial Attention and Corporate Aging
by Claudio F. Loderer & René M. Stulz & Urs Waelchli - 13-45 Long-Term Portfolio Management with a Structural Macroeconomic Model
by Ludovic Cales & Eric Jondeau & Michael Rockinger - 13-44 Asset Pricing with Regime-Dependent Preferences and Learning
by Tony Berrada & Jerome Detemple & Marcel Rindisbacher - 13-43 Can the CRRA-Lognormal Framework Explain CAPM-Anomalies in the Cross-Section of Stock Returns?
by Sabine Elmiger - 13-42 A Macroeconomic Framework for Quantifying Systemic Risk
by Zhiguo He & Arvind Krishnamurthy - 13-41 Fund Flows and Market States
by Francesco A. Franzoni & Martin C. Schmalz - 13-40 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets
by Chris Bardgett & Elise Gourier & Markus Leippold - 13-39 Asset Allocation and Monetary Policy: Evidence from the Eurozone
by Harald Hau & Sandy Lai - 13-38 COMFORT: A Common Market Factor Non-Gaussian Returns Model
by Marc S. Paolella & Pawel Polak - 13-37 Scientific Research Measures
by Marco Frittelli & Loriano Mancini & Ilaria Peri - 13-36 Sudden Spikes in Global Risk
by Philippe Bacchetta & Eric van Wincoop - 13-35 Asymptotics for Fixed Transaction Costs
by Albert Altarovici & Johannes Muhle-Karbe & Halil Mete Soner - 13-34 Systemic Risk and Central Clearing Counterparty Design
by Hamed Amini & Damir Filipović & Andreea Minca - 13-33 Capital Levels and Risk-Taking Propensity in Financial Institutions
by Giovanni Barone-Adesi & Walter Farkas & Pablo Koch-Medina - 13-32 Value and Patience: The Value Premium in a Dividend-Growth Model with Hyperbolic Discounting
by Nilufer Caliskan & Thorsten Hens - 13-31 Long-Run UIP Holds Even in the Short Run
by Fabian Ackermann & Walt Pohl & Karl Schmedders - 13-30 The Perils of Performance Measurement in the German Mutual-Fund Industry
by Philip Böhme & Walt Pohl & Karl Schmedders - 13-29 Conditions for Quantum Interference in Cognitive Sciences
by Vyacheslav I. Yukalov & Didier Sornette - 13-28 The Great Recession: A Self-Fulfilling Global Panic
by Philippe Bacchetta & Eric van Wincoop - 13-27 The Price of Government Bond Volatility
by Antonio Mele & Yoshiki Obayashi - 13-26 Volatility Indexes and Contracts for Government Bonds and Time Deposits
by Antonio Mele & Yoshiki Obayashi - 13-25 Volatility Indexes and Contracts for Eurodollar and Related Deposits
by Antonio Mele & Yoshiki Obayashi - 13-24 Credit Variance Swaps and Volatility Indexes
by Antonio Mele & Yoshiki Obayashi - 13-23 Dynamics of Interest Rate Swap and Equity Volatilities
by Antonio Mele & Yoshiki Obayashi & Catherine Shalen - 13-22 Do Analysts' Preferences Affect Corporate Policies?
by Francois Degeorge & François Derrien & Ambrus Kecskes & Sebastien Michenaud - 13-21 Structured Debt Ratings: Evidence on Conflicts of Interest
by Matthias Efing & Harald Hau - 13-20 On the Strategic Value of Risk Management
by Thomas‐Olivier Léautier & Jean-Charles Rochet - 13-19 Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families
by Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg - 13-18 On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations
by Zehra Eksi & Damir Filipović - 13-17 Utility Maximization in an Illiquid Market
by Halil Mete Soner & Mirjana Vukelja - 13-16 A Critique of Shareholder Value Maximization
by Michael J. P. Magill & Martine Quinzii & Jean-Charles Rochet - 13-15 The General Structure of Optimal Investment and Consumption with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 13-14 Optimal Dividend Policy with Random Interest Rates
by Erdinc Akyildirim & Ibrahim Güney & Jean-Charles Rochet & Halil Mete Soner - 13-13 Martingale Optimal Transport and Robust Hedging in Continuous Time
by Yan Dolinsky & Halil Mete Soner - 13-12 Contagion Channels between Real Estate and Financial Markets
by Martin Hoesli & Reka Kustrim - 13-11 Robust Hedging with Proportional Transaction Costs
by Yan Dolinsky & Halil Mete Soner - 13-10 What Constrains Liquidity Provision? Evidence From Hedge Fund Trades
by Efe Cotelioglu & Francesco A. Franzoni & Alberto Plazzi - 13-09 A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations
by Zehra Eksi & Damir Filipović - 13-07 Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4)
by Diego Ardila & Peter Cauwels & Dorsa Sanadgol & Didier Sornette - 13-06 Quadratic Variance Swap Models
by Damir Filipović & Elise Gourier & Loriano Mancini - 13-05 Predictability Hidden by Anomalous Observations
by Lorenzo Camponovo & O. Scaillet & Fabio Trojani - 13-04 Time-Varying Mixture GARCH Models and Asymmetric Volatility
by Markus Haas & Jochen Krause & Marc S. Paolella & Sven C. Steude - 13-03 The Balassa-Samuelson and the Penn Effect: Are They Really the Same?
by Cosimo Pancaro - 13-02 The Sentiment of the Fed
by Michel Fuksa & Didier Sornette - 13-01 The Sentiment of the Fed
by Michel Fuksa & Didier Sornette
2012
- 12-45 Systemic Risk in Europe
by Robert F. Engle & Eric Jondeau & Michael Rockinger - 12-44 Liquidity and Liquidity Risk in the Cross-Section of Stock Returns
by Volodymyr Vovchak - 12-43 The Information Content of Option Demand
by Kerstin Kehrle & Tatjana Xenia Puhan - 12-42 Dividend Growth Predictability and the Price-Dividend Ratio
by Ilaria Piatti & Fabio Trojani - 12-41 Mixture Normal Conditional Correlation Models
by Maria Putintseva - 12-40 The Illusion of the Perpetual Money Machine
by Peter Cauwels & Didier Sornette - 12-39 Utility Rate Equations of Group Population Dynamics in Biological and Social Systems
by Vyacheslav I. Yukalov & E.P. Yukalova & Didier Sornette - 12-38 Understanding Asset Correlations
by Henrik Hasseltoft & Dominic Burkhardt - 12-37 Market Belief Risk and the Cross-Section of Stock Returns
by Rajna Gibson & Songtao Wang - 12-36 Optimal and Naive Diversification in Currency Markets
by Fabian Ackermann & Walt Pohl & Karl Schmedders - 12-35 A Polynomial Optimization Approach to Principal-Agent Problems
by Philipp Renner & Karl Schmedders - 12-34 Peer Effects at Work: The Common Stock Investments of Co-workers
by Hans K. HVIDE & Per ÖSTBERG - 12-33 Evidence of Excess Comovement in US Mergers
by Per Östberg & Christoph Wenk - 12-32 Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds
by Dario Cestau & Richard C. Green & Norman Schürhoff - 12-31 Bank Ratings: What Determines Their Quality?
by Harald Hau & Sam Langfield & David Marques-Ibanez - 12-30 Option Pricing and Hedging with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 12-29 Dealer Intermediation between Markets
by Peter G. Dunne & Harald Hau & Michael Moore - 12-28 Transaction-Based and Appraisal-Based Capitalization Rate Determinants
by Alain Chaney & Martin Hoesli - 12-27 Costs and Benefits of Financial Regulation: Short-Selling Bans and Transaction Taxes
by Terje Lensberg & Klaus Reiner Schenk-Hoppé & Daniel Ladley - 12-26 Valuing American Options Using Fast Recursive Projections
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet - 12-25 Cone-Constrained Continuous-Time Markowitz Problems
by Christoph Czichowsky & Martin Schweizer - 12-24 Convex Duality in Mean Variance Hedging Under Convex Trading Constraints
by Christoph Czichowsky & Martin Schweizer - 12-23 Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube
by Markus Leippold & Jacob Stromberg - 12-22 The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight
by Martin Hoesli & Eva Liljeblom & Anders Löflund - 12-21 Sentiment, Risk Aversion, and Time Preference
by Giovanni Barone-Adesi & Loriano Mancini & Hersh Shefrin - 12-20 Super-Exponential Bubbles in Lab Experiments: Evidence for Anchoring Over-Optimistic Expectations on Price
by Andreas D. Huesler & Didier Sornette & C. H. Hommes - 12-19 Bank Capital Regulation with an Opportunistic Rating Agency
by Matthias Efing - 12-18 Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
by Valentina Corradi & Walter Distaso & Antonio Mele - 12-17 Betting Against Beta
by Andrea Frazzini & Lasse Heje Pedersen - 12-16 Corporate Governance and CEO Turnover Decisions
by Theodosios Dimopoulos & Hannes F. Wagner - 12-15 Are REITs Real Estate? Evidence from International Sector Level Data
by Martin Hoesli & Elias Oikarinen - 12-14 Affine Variance Swap Curve Models
by Damir Filipović - 12-13 Homogenization and Asymptotics for Small Transaction Costs
by Halil Mete Soner & Nizar Touzi - 12-12 Misvaluation and Return Anomalies in Distress Stocks
by Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov - 12-11 The Shareholder Base and Payout Policy
by Andriy Bodnaruk & Per Östberg - 12-10 Role of Information in Decision Making of Social Agents
by Vyacheslav I. Yukalov & Didier Sornette - 12-09 Are Ratings the Worst Form of Credit Assessment Apart from All the Others?
by Andreas Bloechlinger & Markus Leippold - 12-08 A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects
by Didier Sornette & Alexander I. Saichev - 12-07 The Exchange Rate Effect of Multi-Currency Risk Arbitrage
by Harald Hau - 12-06 Mortgage Interest Deductions and Homeownership: An International Survey
by Steven C. Bourassa & Donald R. Haurin & Patric H. Hendershott & Martin Hoesli - 12-05 Optimal Risk Sharing with Limited Liability
by Semyon Malamud & Huaxia Rui & Andrew B. Whinston - 12-04 Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis
by Giovanni Barone-Adesi & Nicola Carcano & Hakim Dall'O - 12-03 Aggregate Investment Externalities and Macroprudential Regulation
by Hans Gersbach & Jean-Charles Rochet - 12-02 Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes
by Vladimir Filimonov & Didier Sornette - 12-01 Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds
by Andreas D. Huesler & Yannick Malevergne & Didier Sornette
2011
- 11-64 Crashes and High Frequency Trading
by Didier SORNETTE & Susanne VON DER BECKE - 11-63 Crashes and High Frequency Trading
by Didier SORNETTE & Susanne VON DER BECKE - 11-62 Follow the money: The monetary roots of bubbles and crashes
by Monique JEANBLANC & Didier SORNETTE - 11-61 Follow the money: The monetary roots of bubbles and crashes
by Fulvio CORSI & Didier SORNETTE - 11-60 Follow the money: The monetary roots of bubbles and crashes
by Fulvio CORSI & Didier SORNETTE - 11-59 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics
by Peter CAUWELS & Didier SORNETTE - 11-58 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics
by Peter CAUWELS & Didier SORNETTE - 11-57 Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints
by Pauline BARRIEU & Henri LOUBERGE - 11-56 The determinants of banks lobbying activities
by Rajna GIBSON BRANDON & Miret PADOVANI - 11-55 Structured finance, acquisitions and debt agency
by Gabriel H. NEUKOMM - 11-54 A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives
by Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG - 11-53 Do Hedge Funds Manipulate Stock Prices?
by Itzhak Ben-David & Francesco A. Franzoni & Augustin Landier & Rabih Moussawi - 11-52 Multivariate Asset Return Prediction with Mixture Models
by Marc S. Paolella - 11-51 Collateral Smile
by Markus LEIPPOLD & Lujing SU - 11-50 Systemic Risk and Sentiment Chapter Contribution to Handbook on Systemic Risk
by Giovanni BARONE-ADESI & Loriano MANCINI & Hersh SHEFRIN - 11-49 Comprehensive model of household tenure choice
by Steven C. BOURASSA & Donald R. HAURIN & Patric H. HENDERSHOTT & Martin HOESLI - 11-48 Preemptive Bidding, Target Resistance, and Takeover Premiums
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 11-47 Preemptive Bidding, Target Resistance, and Takeover Premiums
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 11-46 Robust Repeat Sales Indexes
by Steven C. BOURASSA & Eva CANTONI & Martin HOESLI - 11-45 Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?
by Christoph HARTZ & Marc S. PAOLELLA - 11-44 Capital Supply Uncertainty, Cash Holdings, and Investment
by Julien HUGONNIER & Semyon MALAMUD & Erwan MORELLEC - 11-43 Buyers Versus Sellers: Who Initiates Trades And When?
by Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH - 11-42 Detecting Informed Trading Activities in the Options Markets
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI - 11-41 Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - 11-40 Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - 11-39 Stable Mixture GARCH Models
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE - 11-38 Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI - 11-37 The Value of Tradeability
by Marc CHESNEY & Alexander KEMPF - 11-36 We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
by Pierre BAJGROWICZ & Olivier SCAILLET - 11-35 The Role of Equity Funds in the Financial Crisis Propagation
by Harald HAU & Sandy LAI - 11-34 The Term Structure of Interbank Risk
by Damir FILIPOVIC & Anders B. TROLLE - 11-33 Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much
by Fabio TROJANI & Christian WIEHENKAMP & Jan WRAMPELMEYER - 11-32 Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
by Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET - 11-31 Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins
by Richard B. EVANS & Rüdiger FAHLENBRACH - 11-30 Investment strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE - 11-29 Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou - 11-28 Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences
by Claudia RAVANELLI & Gregor SVINDLAND - 11-27 Extreme-quantile tracking for financial time series
by Valérie CHAVEZ-DEMOULIN & Paul Embrechts & Sylvain Sardy - 11-26 Role of diversification risk in financial bubbles
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 11-25 When and How is Voluntary Disclosure Quality Reflected in Equity Prices?
by Florian EUGSTER & Alexander F. WAGNER - 11-24 Risk Aversion in the Large and in the Small
by Jorgen HAUG & Thorsten HENS & Peter WOHRMANN - 11-23 Predictive Power of Information Market Prices
by Maria PUTINTSEVA - 11-22 R&D and the Market for Acquisitions
by Gordon PHILLIPS & Alexei ZHDANOV - 11-21 The war puzzle: contradictory effects of international conflicts on stock markets
by Amelie BRUNE & Thorsten HENS & Marc Olivier RIEGER & Mei WANG - 11-20 Density Approximations For Multivariate Affine Jump-Diffusion Processes
by Damir FILIPOVIC & Eberhard BERHARD & Paul SCHNEIDER - 11-19 This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis
by Rüdiger FAHLENBRACH & Robert PRILMEIER & René M. STULZ - 11-18 Utility Maximization, Risk Aversion, and Stochastic Dominance
by Mathias BEIGLBÖCK & Johannes MUHLE-KARBE & Johannes TEMME - 11-17 Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios
by Peter MOLNAR & Kjell G. NYBORG - 11-16 International Bond Risk Premia
by Magnus DAHLQUIST & Henrik HASSELTOFT - 11-15 The unconditional and conditional exchange rate exposure of U.S. firms
by Ines CHAIEB & Stefano MAZZOTTA - 11-14 CEO Contract Design: How Do Strong Principals Do It?
by Henrik CRONQVIST & Rüdiger FAHLENBRACH - 11-13 On the Timing and Pricing of Dividends
by Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen - 11-12 Are Shareholders Stupid? On The Surprising Impact of Binding Say-On-Pay On Stock Prices
by Alexander WAGNER & Christoph WENK - 11-11 Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
by Damir FILIPOVIC & Robert KREMSLEHNER & Alexander MUERMANN - 11-10 Collateral Requirements and Asset Prices
by Johannes Brumm & Michael GRILL & Felix KUBLER & Karl SCHMEDDERS - 11-09 Weak Approximation of G-Expectations
by Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER - 11-08 Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov - 11-07 Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov - 11-06 Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals
by Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov